Overall Statistics |
Total Trades
478
Average Win
0.98%
Average Loss
-0.89%
Compounding Annual Return
1.542%
Drawdown
13.500%
Expectancy
0.167
Net Profit
39.003%
Sharpe Ratio
0.291
Probabilistic Sharpe Ratio
0.009%
Loss Rate
44%
Win Rate
56%
Profit-Loss Ratio
1.10
Alpha
0.015
Beta
-0.019
Annual Standard Deviation
0.048
Annual Variance
0.002
Information Ratio
-0.326
Tracking Error
0.186
Treynor Ratio
-0.733
Total Fees
$2342.04
Estimated Strategy Capacity
$610000000.00
Lowest Capacity Asset
SPY R735QTJ8XC9X
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# https://quantpedia.com/strategies/pre-holiday-effect/ # # Investors use some simple investment vehicles to gain exposure to US equity market (ETF, fund, CFD or future) only during days # preceding holiday days (New Year’s Day, Martin Luther King Jr. Day, President’s Day, Good Friday, Memorial Day, Independence Day, # Labor Day, Election Day, Thanksgiving Day, Christmas Day). Investors stay in cash during other trading days. The anomaly isn’t # limited only to the US market but seems to work well also in other countries; therefore, it could be broadened to include # pre-holiday days for local holidays in other markets class PreHolidayEffect(QCAlgorithm): def Initialize(self): self.SetStartDate(2000, 1, 1) self.SetCash(100000) self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol def OnData(self, data): calendar1 = self.TradingCalendar.GetDaysByType(TradingDayType.PublicHoliday, self.Time, self.Time+timedelta(days=2)) calendar2 = self.TradingCalendar.GetDaysByType(TradingDayType.Weekend, self.Time, self.Time+timedelta(days=2)) holidays = [i.Date for i in calendar1] weekends = [i.Date for i in calendar2] # subtract weekends in all holidays public_holidays = list(set(holidays) - set(weekends)) if not self.Portfolio.Invested and len(public_holidays)>0: self.SetHoldings(self.symbol, 1) elif self.Portfolio.Invested and len(public_holidays)==0: self.Liquidate()